Snr CCR Traded Risk Quant (Snr VP), Singapore

This global Investment Bank operates across the world’s most dynamic markets and has a great reputation both as a caring employer and for its state-of-the-art technology.  It is now seeking to hire a Senior Quant Analyst for their Traded Risk Group to work closely with the Front Office and support CCR model development,& implementation, and assist Traded Risk Management in improving CCR exposure management for the bank.  

Great opportunity in beautiful, low-tax Singapore!

RESPONSIBILITIES:

• Support the CCR model development and implementation process
• Support Traded Risk Management by improving CCR Exposure Management
• Develop CCR exposure measurement methodologies and risk assessment tools
• Develop processes to monitor existing CCR model outputs and prepare reports for stakeholders
• Assist Credit Risk in developing tools to review the trading book credit risk exposure
• Provide technical / methodology support to risk managers, traders, stakeholders to quantify CCR exposure for new transactions

ESSENTIAL SKILLS:

• 5+ years minimum experience with CCR or CVA/XVA derivatives modelling gained in a top bank
• Working experience of Risk factor modelling, Derivatives pricing and (ideally) understanding of Margin operations, Capital
  
• Good Python or C++ skills for prototypes and simulations
• Strong knowledge of numerical methods, stochastic calculus, & probability theory, Monte Carlo
• Able to communicate complex ideas in a clear manner
• PhD or Masters in a scientific discipline